In this paper, we inves­ti­ga­te whe­ther mixing cryp­to­cur­ren­ci­es to a Ger­man inves­tor port­fo­lio impro­ves port­fo­lio diver­si­fi­ca­ti­on. We ana­ly­se this rese­arch ques­ti­on by app­ly­ing a (mean vari­ance) port­fo­lio ana­ly­sis using a tool­box con­sis­ting of (i) the com­pa­ri­son of descrip­ti­ve sta­tis­tics, (ii) gra­phi­cal methods and (iii) eco­no­me­tric span­ning tests. In con­trast to most of the for­mer stu­dies we use a (broad) cus­to­mi­zed, Equal­ly-Weigh­ted Cryp­to­cur­ren­cy Index (EWCI) to cap­tu­re the avera­ge deve­lo­p­ment of a who­le ex ante defi­ned cryp­to­cur­ren­cy uni­ver­se and to miti­ga­te pos­si­ble sur­vi­vor­ship bia­ses in the data. Accor­ding to Glas/​Poddig (2018), this bias could have led to mis­lea­ding results in some alre­a­dy exis­ting stu­dies. We find that cryp­to­cur­ren­ci­es can impro­ve port­fo­lio diver­si­fi­ca­ti­on in a few of the ana­ly­zed win­dows from our data­set (con­sis­ting of weekly obser­va­tions from 2014-01-01 to 2019-05-31). Howe­ver, we can­not con­firm this pat­tern as the nor­mal case. By inclu­ding cryp­to­cur­ren­ci­es in their port­fo­li­os, inves­tors pre­do­mi­nant­ly can­not reach a signi­fi­cant­ly hig­her effi­ci­ent fron­tier. The­se results also hold, if the non-nor­ma­li­ty of cryp­to­cur­ren­cy returns is con­side­red. Moreo­ver, we con­trol for chan­ges of the results, if tran­sac­tion costs/​illiquidities on the cryp­to­cur­ren­cy mar­ket are addi­tio­nal­ly considered

Quel­le /​ Link: Re-eva­lua­ting cryp­to­cur­ren­ci­es’ con­tri­bu­ti­on to port­fo­lio diver­si­fi­ca­ti­on. A port­fo­lio ana­ly­sis with spe­cial focus on Ger­man investors